Preprintgreen2011

Dynamically consistent CEU preferences

0 citations0/0 files storedRePEc: Research Papers in Economics

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Decision-Making and Behavioral Economics Experimental Behavioral Economics Studies Bayesian Modeling and Causal Inference

Abstract

We give an axiomatic foundation to the updating rule proposed by [Sarin, R. and Wakker, P. P. (1998). Revealed likelihood and knightian uncertainty. Journal of Risk and Uncertainty 16(3):223-250.] for CEU preferences. This rule is dynamically consistent but non-consequentialist, since forgone consequences are relevant for conditioning. Whereas it does not work universally, but only when counterfactuals outcomes are better and/or worse than the ones resulting on the conditioning event, the rule has many interesting features, since it is able to describe Ellsbergtype preferences together with a recursive structure of the criterion.

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References

2004Subjective probability and expected utility without additivity 2003Recursive multiple-priors 1987Expected utility with purely subjective non-additive probabilities 1989Dynamic Consistency and Non-expected Utility Models of Choice under Uncertainty 1993Updating Ambiguous Beliefs 1993Dynamically Consistent Beliefs Must Be Bayesian 2009Risk, Ambiguity, and the Rank-Dependence Axioms 2002Revisiting Savage in a conditional world

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